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Larry,
As Al wrote, there is no obstacle in adding additional optimization
parameter that controls walk-forward test.
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "lel4866" <lel@xxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Monday, September 30, 2002 5:30 PM
Subject: [amibroker] Re: Suggestion for better backtesting/optimization
> This is not what I meant -
>
> I would like to do all of this in an automated fashion where the
> look back period and stable parameter period are both optimization
> variables, and the parameter selection was automatic.
>
> Larry Lewis
>
> --- In amibroker@xxxx, "Avcinci" <avcinci@xxxx> wrote:
> > You can do walk-forward testing now with AB. Simply optimize from,
> say, 1997 to 2000, then using the optimum parameter values from that
> optimization, backtest on the same stocks from 2000 to present (out
> of sample data). You can vary the time periods to do your
> optimizations and backtests. Of course, this is 2 steps, but it's
> not that hard. TJ has said that, later this year, he will be
> incorporating in his graphics engine 3-D graphics that enable the
> user to view the robustness of an optimization in a manner similar
> to but better than the Excel add-in that Herman developed and
> uploaded earlier. You would choose parameter values from a flat area
> of the optimization graph where the parameter values and equity
> curve would not change much from one set to another.
> >
> > Al V.
> > ----- Original Message -----
> > From: lel4866
> > To: amibroker@xxxx
> > Sent: Sunday, September 29, 2002 12:29 PM
> > Subject: [amibroker] Suggestion for better
> backtesting/optimization
> >
> >
> > My suggestion is for support for walk forward optimization. This
> is
> > what we all actually do in real life. Since we can't look into
> the
> > future, we test/optimize based on the past, then apply the
> results
> > to the following days trading. We then look at the results and
> make
> > additional changes.
> >
> > There are 2 simple variables: 1) The length of time we look
> back,
> > and the length of time (or other conditions) we wait until we re-
> > optimize.
> >
> > There's a 3rd, more complicated variable - how we choose the
> > optimium parameters from the last optimization run. My
> suggestion is
> > for a "score" formula that takes into account things like:
> maximum %
> > drawdown, best compound rate of return, highest minimum of the
> > running 1 year returns (or whatever period you like).
> >
> > I particularly like the last one - I always look at a graph of
> the 1
> > year returns (Equity() - Ref(Equity(), -253)). Ideally, it
> should be
> > as flat as possible (or maybe rising). I've been treating this a
> > little like analysis of variance - it should look like white
> noise
> > with a given mean and standard deviation - any periods that
> don't
> > bear investingation.
> >
> > Right now I use AmiBroker for experiments, but when I find an
> idea I
> > like, I must write my own program to do walk-forward testing.
> >
> > Larry Lewis
> >
> >
> >
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> >
> >
> >
> >
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